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As for static linking libraries, I solved this by writing a CMake file to build my dependencies from source (including SDL). Works in Visual Studio and in Linux/GCC. Should work in MSYS2 as well though I haven't tested that: https://github.com/weirddan455/genesis-sdl/blob/main/CMakeLists.txt
I do more than half my C programming these days on Windows, and that's in part because I maintain a small, custom distribution that works just the way I want: w64devkit. It includes a BusyBox fork, Mingw-w64 GCC, GDB, Vim, and Ctags. I was never satisfied with MSYS2 or Cygwin, and debugging anything linked against msys-2.0.dll remains a miserable experience even to this day. (It's surprising to me that nobody seems to care.)